摘要
在B-F准备金模型中,为了让事故年均值的估计的准备金不依赖于先验分布的具体形式,采用信度方法,在文献[10]模型的基础上考虑索赔额在同一事故年不同进展年存在某种关系,在平衡损失函数下得到事故年索赔均值的最优非齐次与齐次信度估计.特别地,当ω=0时,结果与原模型结果一致,对原模型进行推广.
In the reserve model of B-F,in order to make the estimated reserve of the accident year mean independent of the specific form of prior distribution,the credibility method is adopted.On the basis of[10] model,considering the relationship between the amount of claims in different years of progress in the same accident year,the optimal non-homogeneous and homogeneous credibility estimates of the accident year means are obtained under the balanced loss function.When ω=0,the result is consistent with that of the original model,and the original model is generalized.
作者
张庆莉
谭涛
吴黎军
ZHANG Qingli;TAN Tao;WU Lijun(College of Mathematics and System Sciences,Xinjiang University,Urumqi,830046,China)
出处
《应用概率统计》
CSCD
北大核心
2020年第5期509-522,共14页
Chinese Journal of Applied Probability and Statistics
关键词
平衡损失函数
B-F模型
信度理论
未决赔款准备金
balanced loss function
Bayes chain ladder model
credibility theory
outstanding claims reserving
